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- Title
Interest Rates and Inflationary Expectations: Tests For Structural Change 1952-1976.
- Authors
HOLMES, ALEXANDER B.; KWAST, MYRON L.
- Abstract
The article reports on the effect of inflation on interest rates and monetary policy in the United States. Research has suggested that, in the standard Fisher equation regression model, there is a structural change in the magnitude of the coefficient on a price expectations variable. The Brown-Durbin test for structural stability--which is designed to show when a time-series coefficient is unstable--is used to determine if there is a relationship between nominal interest rates and the expected rate of inflation over the period 1952-1976.
- Subjects
UNITED States; EFFECT of inflation on interest rates; PRICE inflation; UNITED States economy, 1945-; MONETARY policy; REGRESSION analysis; INTEREST rates
- Publication
Journal of Finance (Wiley-Blackwell), 1979, Vol 34, Issue 3, p733
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1979.tb02138.x